I've always avoided the problem entirely by putting the magnet is a small baggie, or putting a plastic cover overtop the magnet in a drain plug.

Magnet looks "fuzzy," pull the cover and the metal comes off (turn the cover inside-out as you remove it to contain the metal.)

One trick that has worked fairly well for me is to wipe down with a coffee filter - the paper is rough enough that it will catch most of the stuff, and you can just toss it afterwards. Put the magnet in a baggie/cover after it's clean, so you don't have to do it again.

If you have it, scrap bits of velvet or velveteen can also trap a lot of fine metal bits.

In our shops we use a lot of magnets For tape measures and string lines and if you drop one it'll look like a punk chia pet when you pick it up due to years and years worth of grinding and blasting leavings everywhere, I always use a quick blast of compressed air to set things right.

I use shop air on my setup magnets. I also have a few strong magnets on my horizontal band saw that I keep in a ziplock. When its time to clean up, use the magnet in the baggie then go to the trash can and toss the baggie.
Works great.

I have a couple of the bovine stomach magnets still around. These were magnets used in cattle stomachs to collect small metal pieces to keep them from going through the digestive system.

They look like this:

They are about 3" long. Great for shop table clean up.

Those small zip lock bags or sandwich bags are great.
Drop a magnet in the baggie and "sweep" the area then just turn the bag inside out. Blowing off the shavings just moves the shavings from point a to point b.